I don't know how to specify that the link open  the document  in Edit
mode, but since you are getting the Edit/ReadOnly panel when opening  it
directly you must be using Word 2007. In Office 2007 there will be a
Checkout menu entry on the Server menu under the Office Button. There
should also be an edit  Document button on the Document Properties panel.
Using either of these will inform the server that the document is now
being edited. So although it will open ReadOnly by default, it can
still be easily edited.

Yes, you are correct...we have the new and 'improved' 2007.

I originally did not have the Check Out process required on my
document library  so I wasn't seeing the Check Out on the Server menu.

So I looked for an Edit document  option in the Document Properties
(Document Information Panel) but didn't see one. I haven't been
using the 2007 version of Excel very long so I can't always find
everything. Did I look in the right place? I would rather us not
have to require the Check Out process if there is another way to do
this.

I just checked on my copy and I see both the check  Out menu entry and
the Edit document  button whether the Require Check Out is turned  on or
not. Interestingly they don't show up if I open  the document the way
you are doing it by using a link. I'm going to need to do some more
research and see if I can find you a solution.

Yeah, I even tried adding the link to the navigation bar and still
got the same results. I also discovered that when I open  the
document from the document  library and check  to open it in Read-only
I get the Check out menu then. One of my guys is using Office 2003
and he also has the same problem.